MOST of the hundreds of guests at the Watermill Center in the Hamptons on Saturday didn’t recognize Martha Wainwright when she got up to sing. Many didn’t know Rufus Wainwright had a younger sister. But when she finished “Stormy Weather,” they were awestruck and wondering where she’s been hiding. Roger Waters of Pink Floyd left his table to congratulate her. The crowd included Christophe de Menil — in mourning for her artist grand son Dash Snow, who recently OD’d on heroin — Calvin Klein, Beth Rudin De Woody, Campion and Tati ana Platt, Jay McInerney and Anne Hearst, Nicole Miller and Eric Ripert.